Do you love music?
You'll get to know which gear you're in by the sound of the symphony coming from under the hood!!
My '89 300-E and my wifes' '92 190-E is the same way as your car. The entire gear range is lit (most of the time - that's the subject of an upcoming posting of my own) without any indication of what gear selection you've made.
For example, when I'm going 65 mph in D my car is turning around 3000 rpm. If I downshift to 3 (heading 'over the hill' for example) at 65 mph, it jumps up to around 3800-4000 rpm and just SINGS (don't quote me exactly on the rpms but it's darned close)!!! What a SWEET sound.
Scotts Valley, CA.
1993 300 CE Cabriolet (A124) 131K miles
1997 C-280 133K miles
2000 BMW R1100RT 69K miles
1989 300 E 216K miles (sold)